For two consecutive weeks, the majority of maturity-weighted notional volume in cleared Canadian dollar interest rate derivatives has been priced using CORRA instead of CDOR. This marks a significant shift from the start of the year when only about 10% of these derivatives referenced CORRA.
This move reflects the success of CARR’s CORRA-first initiatives to transition liquidity to CORRA based derivatives. Based on CARR’s two-staged transition plan, CARR expects no new CDOR derivative transactions (with limited exceptions) or new CDOR based cash securities issued after June 30, 2023. This deadline has been reinforced by supervisory guidance from the Office of the Superintendent of Financial Institutions.
To monitor benchmark transition in Canadian derivatives markets, please follow CARR’s weekly derivatives monitor.
Canada established CARR, a working group sponsored by the Canadian Fixed-Income Forum, to coordinate Canadian interest rate benchmark reform. CARR’s mission is to ensure Canada’s interest rate benchmark regime is robust, resilient and effective in the years ahead. Over the coming transition period, CARR will support the transition from CDOR to CORRA as the key Canadian interest-rate benchmark.
Visit CARR’s webpage for up-to-date information on the transition, including all of CARR’s key documents, and to sign-up to receive email updates from CARR.
Senior Policy Director
Financial Markets Department
Bank of Canada
Managing Director and Vice Chair
CIBC Capital Markets
Bank of Canada